相依索赔的二项风险模型的Gerber-shiu贴现罚函数
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引用本文:刘东海,刘再明,龚日朝.相依索赔的二项风险模型的Gerber-shiu贴现罚函数[J].经济数学,2012,(2):35-39
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作者单位
刘东海,刘再明,龚日朝 (1.湖南科技大学数学与计算科学学院, 湖南 湘潭4112012.中南大学数学与统计学院,湖南 长沙410004 3.湖南科技大学商学院,湖南 湘潭411201) 
中文摘要:研究一类索赔时间相依的二项风险模型,根据索赔额的大小随机产生一副索赔.通过引入辅助模型,运用概率论的分析方法得到了任意初始值u下的Gerber-Shiu贴现罚函数,并求得了初始值为0时最终破产概率的明确表达式.最后结合保险实务进行了举例.
中文关键词:二项风险模型  相依索赔  副索赔  贴现罚函数
 
The Gerber-shiu Discounted Penalty Function in the Correlated Binomial Risk Model
Abstract:This paper considered the compound binomial model with correlated claims in which every claim can produce a by-claim according to the amount of it. By means of auxiliary model and using the methods of probability, we obtained the Gerber-Shiu Discounted Penalty Function in the correlated binomial risk model . Furthermore, the explicit expression for the probability was given when the initial surplus is zero. Finally, we show some examples according to the insurance case.
keywords:binomial risk model  correlated claim  by-claim  discount penalty function
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